InTechOpen uses cookies to offer you the best online experience. By continuing to use our site, you agree to our Privacy Policy.

Engineering » Control Engineering » "Stochastic Modeling and Control", book edited by Ivan Ganchev Ivanov, ISBN 978-953-51-0830-6, Published: November 28, 2012 under CC BY 3.0 license. © The Author(s).

Chapter 6

Singular Stochastic Control in Option Hedging with Transaction Costs

By Tze Leung Lai and Tiong Wee Lim
DOI: 10.5772/46154